HLIT Options History — January 2009

In January 2009, HLIT traded between $4.81 and $6.54. ATM implied volatility averaged 68.9%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 24.1% (HV 20d: 93.0%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2009-01-08: Highest Volume — 682 contracts
  • 2009-01-09: Largest IV spike — 119.2% change
  • 2009-01-09: Highest IV Rank — 100.0%
  • 2009-01-23: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.54$4.81$6.54$6.36$5.15
Max Pain$4.25$2.50$7.50$7.50$5.00
ATM IV68.9%41.3%100.6%45.5%66.4%
Expected Move20.8%13.0%23.7%13.0%19.0%
HV 20d93.0%86.2%100.5%100.5%86.2%
HV 60d105.2%100.7%108.9%108.2%101.5%
IV Rank59.7%25.9%100.0%32.0%55.5%
IV Percentile74.3%27.4%100.0%36.5%74.6%
Term Structure-0.5%-9.0%18.3%18.3%4.6%
VWIV72.4%56.5%82.8%56.5%66.2%
Skew 25d3.4%-9.9%30.8%9.2%4.8%
Skew 10d8.8%-8.4%38.3%14.2%10.7%
Call IV 25d66.4%45.8%75.5%45.8%65.9%
Put IV 25d69.8%55.1%76.8%55.1%70.7%
Bid-Ask Spread %21.8710.3738.4710.3719.57
Gamma HHI0.610.470.850.710.55
Net GEX7.4K2.0K20.6K17.4K4.8K
Net DEX-111.2K-340.3K58.9K-314.1K-76.6K
Net VEX-2.3K-2.7K-1.9K-2.3K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0020.400.253.62
Total Volume228.555682414231
Total OI6,071.353,7088,4337,2454,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$6.36$7.5045.5%13.0%100.5%32.0%56.5%9.2%18.3%17.4K-314.1K-2.3K0.2510.37N/AN/A330846,2241,021
2009-01-05$6.14$2.5053.3%18.8%96.5%43.7%0.0%3.1%11.7%9.9K-204.5K-2.1K0.0033.45N/AN/A806,3381,067
2009-01-06$6.54$2.5041.3%18.1%95.5%25.9%63.3%8.8%0.7%17.7K-334.0K-2.4K0.0034.49N/AN/A19406,3461,067
2009-01-07$6.42$2.5049.5%18.6%92.0%38.0%0.0%30.8%0.6%7.9K-273.1K-2.3K0.0038.47N/AN/A506,4181,067
2009-01-08$6.46$2.5045.9%20.6%89.8%32.6%72.1%6.1%-5.1%8.0K-287.0K-2.3K0.0034.46N/AN/A68206,4231,067
2009-01-09$6.09$2.50100.6%20.3%92.4%100.0%73.7%0.4%3.1%20.6K-340.3K-2.7K0.1331.49N/AN/A75106,6611,067
2009-01-12$5.81$2.5072.7%20.5%94.2%63.6%67.5%1.0%-0.9%10.1K-180.0K-2.1K0.0031.54N/AN/A14206,7011,077
2009-01-13$5.69$2.5069.4%22.1%89.5%59.3%78.3%3.1%-5.3%9.3K-145.6K-1.9K20.4025.97N/AN/A255106,6851,057
2009-01-14$5.26$5.0052.9%21.3%92.8%37.8%74.3%2.1%2.3%11.0K2.9K-2.1K4.8917.27N/AN/A381866,7001,410
2009-01-15$5.51$5.0072.1%20.7%90.0%62.9%71.7%2.8%0.6%5.9K-23.6K-2.2K5.7415.76N/AN/A533046,6831,479
2009-01-16$5.51$5.0077.8%22.3%90.0%70.4%77.8%3.3%-5.2%3.0K-5.0K-2.4K0.3214.12N/AN/A297946,7141,719
2009-01-20$4.89$5.0081.4%23.3%98.1%75.1%77.1%-5.1%-6.1%2.4K13.8K-2.2K0.1012.83N/AN/A5252,5261,182
2009-01-21$4.93$5.0073.4%21.0%95.6%64.6%73.4%-3.2%-1.1%2.1K37.3K-2.0K0.2619.48N/AN/A114302,5721,181
2009-01-22$4.81$5.0074.5%21.3%95.5%66.0%74.5%-9.7%0.6%2.0K58.9K-2.1K0.5119.74N/AN/A53272,6461,211
2009-01-23$4.84$5.0082.8%23.7%95.6%76.8%82.8%-9.9%-9.0%2.2K37.2K-2.2K0.5511.89N/AN/A169932,6941,238
2009-01-26$4.97$5.0082.4%23.6%94.0%76.3%82.4%3.3%-7.0%3.1K-22.6K-2.4K0.0015.71N/AN/A1802,8091,302
2009-01-27$5.21$5.0076.1%21.8%96.0%68.1%74.7%8.5%-1.1%3.7K-90.8K-2.4K0.1417.28N/AN/A71102,8091,302
2009-01-28$5.25$5.0079.6%22.8%87.2%72.7%57.6%8.3%-5.1%4.4K-109.8K-2.5K5.6319.40N/AN/A301692,8771,312
2009-01-29$5.02$5.0079.8%22.9%88.2%73.0%79.8%-0.1%-5.9%3.1K32.3K-2.2K0.0214.01N/AN/A452102,8871,412
2009-01-30$5.15$5.0066.4%19.0%86.2%55.5%66.2%4.8%4.6%4.8K-76.6K-2.4K3.6219.57N/AN/A501813,0541,422